Portfolios - EDHEC-Risk

Relative Performance Across Market Conditions
• Robust proxies for the GMV portfolio provide defensive exposure
to equity that does well in adverse market conditions, while robust
proxies for Max Sharpe Ratio portfolios provide a higher access
to the upside of equity markets.
Diversified (50% Minimum
Minimum Volatility Maximum Sharpe Ratio Volatility + 50% Maximum
Sharpe Ratio)
Conditioning Variable Regime Excess Return over S&P 500 index
Annualised Equity Market Excess
Returns (Market –risk free rate)
Low 3.20% 2.06% 2.63%
2 2.62% 1.95% 2.29%
3 0.78% 0.98% 0.88%
4 ‐0.50% 0.94% 0.22%
High ‐2.62% ‐0.10% ‐1.36%
Conditioning Variable Regime Excess Return over S&P 500 index
Annualised Market Volatility (of
Excess Market Return)
Low 1.40% 2.53% 1.96%
2 1.01% 1.03% 1.02%
3 ‐0.10% ‐0.07% ‐0.08%
4 1.64% 2.05% 1.85%
High 2.24% 1.58% 1.91%
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